While it does not make the candle itself produce more heat, having the steel and clay heated up will absolutely produce more heat. The heat produced by the flame is retained for much longer and acts like an additional heat source. My boys tried this in scouts years ago and it made a surprising difference.
After burning for 15 or so minutes, the terra cotta was VERY warm to the touch and the steel was so hot you could NOT touch it.

Ugh... didn't anyone take physics? It's putting out X amount of heat, and by adding extra crap around it, some of the heat that would have warmed YOU up instead went to warming up the steel and clay. It's all about conservation of energy, baby.